Leaderboards

fasterfastestoverallresidual-k_001residual-k_002residual-k_003residual-k_005residual-k_008residual-k_013residual-k_021residual-k_034univariate-k_001univariate-k_002univariate-k_003univariate-k_005univariate-k_008univariate-k_013univariate-k_021univariate-k_034

Accuracy and Speed of Some Short Term Automated Time-Series Forecasting Approaches (Python Packages only)

The Elo Ratings in this table are produced transparently in the repo timeseries-elo-ratings and based on k-step ahead prediction duels using live time series data. See METHODOLOGY.md for interpretation of Elo ratings. The table named univariate-k_002 refers to 2-step ahead prediction, and so forth. Residual leaderboards use so-called z-streams (as explained in An Introduction to Z-Streams).

There is some motivation in the blog post Fast Python Time-Series Forecasting. All algorithms utilized here can be called the same way using the TimeMachines Python package. However, as indicated in the table, some of these draw an important part of their functionality (if not all) from other packages such as Facebook Prophet, Statsmodels TSA, Flux, PmdArima, Uber Orbit and more. Take relative performance with with a grain of salt, since many packages don't intend completely autonomous use and some are aimed at longer term seasonal forecasts. If you have a suggestion for a package or technique that should be included, please file an issue or, even better, add a skater and make a pull request. There is a guide for contributors and a long list of popular time-series packages.

Some of these methods are used in real-time to provide free prediction to anyone who publishes public data using a community API explained at microprediction.com. See the example crawlers folder for examples of algorithms calling the timemachines package. See the knowledge center or contributor guide for instructions on publishing live data that can influence these ratings.

NameRatingGamesActiveSecondsDependencies
bats_damped_arma2168.013yes4972.4tbats , timemachines
quick_aggressive_ema_ensemble2051.02288yes0.1timemachines
tsa_aggressive_combined_ensemble1985.038yes177.2statsmodels , timemachines
elo_fastest_residual_balanced_ensemble1983.01712yes1.8timemachines
sk_autoarima1962.081yes71.3sktime , timemachines
tsa_p3_d0_q11962.0192yes53.2statsmodels , timemachines
tsa_precision_d0_ensemble1955.038yes151.5statsmodels , timemachines
elo_faster_univariate_balanced_ensemble1951.01197yes5.2timemachines
tsa_precision_combined_ensemble1943.027yes171.3statsmodels , timemachines
bats_fast1935.032yes847.1tbats , timemachines
quick_precision_ema_ensemble1916.01452yes0.1timemachines
bats_trendy_bc1894.027yes926.1tbats , timemachines
bats_damped1886.014yes785.1tbats , timemachines
elo_fastest_residual_precision_ensemble1882.02214yes1.1timemachines
sk_theta1877.01577yes1.2sktime , timemachines
tsa_balanced_d0_ensemble1865.021yes2486.3statsmodels , timemachines
tsa_aggressive_d0_ensemble1846.059yes214.5statsmodels , timemachines
tsa_p1_d0_q11844.0132yes1776.0statsmodels , timemachines
elo_fastest_univariate_aggressive_ensemble1831.01282yes1.0timemachines
quick_balanced_ema_ensemble1826.01446yes0.1timemachines
tsa_p2_d0_q11823.0227yes83.4statsmodels , timemachines
elo_fastest_univariate_precision_ensemble1814.01450yes0.9timemachines
balanced_ema_ensemble1813.01507yes0.1timemachines
elo_fastest_univariate_balanced_ensemble1812.01730yes0.8timemachines
sk_ae_add_damped1810.01327yes22.9sktime , timemachines
elo_faster_residual_aggressive_ensemble1801.01307yes15.7timemachines
elo_faster_univariate_precision_ensemble1797.01073yes5.1timemachines
elo_faster_residual_balanced_ensemble1791.02480yes13.7timemachines
elo_faster_residual_precision_ensemble1762.01025yes15.5timemachines
tsa_balanced_combined_ensemble1754.031yes456.1statsmodels , timemachines
elo_faster_univariate_aggressive_ensemble1751.01519yes6.9timemachines
smdk_p5_d0_q3_n10001745.0679yes65.4simdkalman , timemachines
thinking_fast_and_slow1742.01609yes0.1timemachines
tsa_balanced_theta_ensemble1730.01943yes6.4statsmodels , timemachines
tsa_p3_d0_q01726.0307yes81.1statsmodels , timemachines
elo_fastest_residual_aggressive_ensemble1718.02554yes1.5timemachines
tsa_aggressive_theta_ensemble1695.01432yes9.4statsmodels , timemachines
slow_precision_ema_ensemble1693.01484yes0.1timemachines
tsa_p2_d0_q01687.0738yes63.5statsmodels , timemachines
bats_damped_arma_bc1682.015yes855.2tbats , timemachines
bats_damped_bc1669.08yes940.2tbats , timemachines
bats_bc1668.025yes931.8tbats , timemachines
precision_ema_ensemble1666.01806yes0.1timemachines
fbprophet_cautious_hypocratic1657.074yes84.1prophet , timemachines
divine_univariate_hypocratic_slow1648.0168yes1183.7divinity , timemachines
sk_ae_add1642.01750yes88.1sktime , timemachines
slow_balanced_ema_ensemble1636.01774yes0.1timemachines
bats_trendy1633.020yes855.5tbats , timemachines
slow_aggressive_ema_ensemble1631.01952yes0.2timemachines
tsa_p1_d0_q01629.0946yes19.3statsmodels , timemachines
bats_arma_bc1618.013yes829.7tbats , timemachines
sk_ae1613.01336yes10.8sktime , timemachines
divine_univariate1610.0247yes92.2divinity , timemachines
tsa_precision_theta_ensemble1608.01371yes7.2statsmodels , timemachines
fbprophet_exogenous_hypocratic1605.087yes100.4prophet , timemachines
orbit_lgt_1216000yes-0.5orbit-ml , timemachines
orbit_lgt_2416000yes-0.6orbit-ml , timemachines
darts_autoarima16000yes213.9darts , timemachines
darts_four_theta16000yes-0.2darts , timemachines
regress_change_on_first_known16000no-1.0timemachines
tsa_p1_d1_q016000no-1.0statsmodels , timemachines
tsa_p2_d1_q016000no-1.0statsmodels , timemachines
tsa_p3_d1_q016000no-1.0statsmodels , timemachines
sk_ae_mul_damped16000no0.0sktime , timemachines
sk_ae_mul16000no-0.3sktime , timemachines
rvr_p3_d0_q016000no-1.0river , timemachines
rvr_aggressive_ensemble16000no-1.0river , timemachines
fbprophet_chaser16000no-1.0prophet , timemachines
thinking_slow_and_fast1596.01426yes0.1timemachines
aggressive_ema_ensemble1593.01601yes0.0timemachines
dlm_univariate_a1593.054no-1.0pydlm , timemachines
darts_arima1584.015yes65.5darts , timemachines
bats_trendy_arma1577.010yes1108.1tbats , timemachines
thinking_slow_and_slow1569.01606yes0.1timemachines
bats_arma1555.013yes839.0tbats , timemachines
darts_fft1535.03yes87.6darts , timemachines
smdk_p5_d0_q3_n5001534.01737yes23.8simdkalman , timemachines
nprophet_p11520.01796yes99.4neuralprophet , timemachines
fbprophet_cautious1518.0144yes82.8prophet , timemachines
darts_exp_smoothing1507.010yes119.4darts , timemachines
slowly_moving_average1504.02038yes0.0timemachines
bats_trendy_arma_bc1499.015yes1878.8tbats , timemachines
darts_ExponentialSmoothing_skater1496.01no15.9darts , timemachines
darts_prophet1492.01yes103.3darts , timemachines
nprophet_p31487.0543yes133.7neuralprophet , timemachines
rapidly_moving_average1471.01857yes0.0timemachines
sluggish_moving_average1471.02657yes0.0timemachines
smdk_p5_d0_q3_n1000_aggressive1469.01160yes36.4simdkalman , timemachines
nprophet_p81466.0566yes93.9neuralprophet , timemachines
nprophet_p21462.0613yes83.7neuralprophet , timemachines
rvr_balanced_ensemble1456.0976no0.2river , timemachines
fbprophet_univariate_hypocratic1455.0104yes184.6prophet , timemachines
nprophet_p5_hypocratic1444.0510yes85.4neuralprophet , timemachines
smdk_p5_d0_q3_n500_aggressive1442.0921yes17.3simdkalman , timemachines
tsa_quickly_hypocratic_d0_ensemble1440.095yes150.3statsmodels , timemachines
quickly_moving_average1427.02356yes0.0timemachines
thinking_fast_and_fast1426.01301yes0.1timemachines
dlm_univariate_b1408.056no-1.0pydlm , timemachines
fbprophet_univariate1407.0158yes75.7prophet , timemachines
divine_univariate_hypocratic_fast1401.0170yes271.0divinity , timemachines
pmd_exogenous_hypocratic1397.01025yes8.9pmdarima , timemachines
fbprophet_recursive1392.0173yes75.3prophet , timemachines
nprophet_p1_hypocratic1391.0596yes84.7neuralprophet , timemachines
fbprophet_exogenous_exogenous1388.085yes257.0prophet , timemachines
fbprophet_exogenous1384.0148yes77.8prophet , timemachines
rvr_slowly_hypocratic1375.0793no0.2river , timemachines
fbprophet_univariate_univariate_hypocratic1369.097yes240.4prophet , timemachines
nprophet_p3_hypocratic1362.0592yes138.3neuralprophet , timemachines
tsa_slowly_hypocratic_d0_ensemble1354.073yes147.8statsmodels , timemachines
nprophet_p51336.0630yes66.2neuralprophet , timemachines
fbprophet_known1312.0139yes82.0prophet , timemachines
nprophet_p2_hypocratic1240.0524yes71.4neuralprophet , timemachines
nprophet_p8_hypocratic1233.0702yes168.4neuralprophet , timemachines
pmd_univariate1210.01106yes5.7pmdarima , timemachines
rvr_p2_d0_q01178.02064no0.0river , timemachines
rvr_quickly_hypocratic1100.01139no0.2river , timemachines
empirical_last_value1042.01202yes0.0timemachines
rvr_p1_d0_q01021.0900no0.0river , timemachines
rvr_p5_d0_q0932.01259no0.0river , timemachines
rvr_p8_d0_q0870.0751no0.0river , timemachines